Click on the bottom left of the plus button. Open the category "Page blocks" and click on the "video with caption" element. This element can be recognized by the video block with the text block next to it. If you move your mouse over the parts, you also see the name of the element.
After clicking on the part, move your mouse over the website. You will see an orange surface appear over the parts. Now hold your mouse over the part where you want to place the video. Now move the mouse down until the arrows point down. Then click.
A loading bar appears for a few seconds after which the video and the caption are shown.
Because the video will start playing when you click on it, you can not select it by clicking on it. Instead use the website parts list in the upper blue bar. Use the filter to search for video item. Then click on the item from the list. The video is now selected.
Click on the button for properties at the top left. In the window that appears you can adjust the url of the video. Then click on the save button at the bottom. When the page refreshes the new video is shown.
Read more about the video settings in: